The reason is that somebody added Cygwin between 0.9.7e and 0.9.7f to
the list of sytems which should build crypto/rand/rand_win.c.

That's not correct. Cygwin is a Unix systems on top of Windows and it
provides its own /dev/random and /dev/urandom for a long time already,
so it should be using crypto/rand/rand_unix.c. /dev/random and /dev/urandom
on Cygwin are using the underlying Windows Crypto provider to generate
random numbers.

So, please apply the following patch. I did that in the version of
OpenSSL 0.9.7f released as part of the Cygwin net distribution.